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Stochastic optimal growth with a non-compact space
Zhang, Yuzhe (contributor) - 2005
. Theory 4 (1972)] by utilizing stochastic monotonicity in a dynamic system. The construction of two boundary distributions …
Persistent link: https://www.econbiz.de/10003223687
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Fat-tails in VAR models
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014
We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...
Persistent link: https://www.econbiz.de/10010339759
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Testing the Box-Cox parameter for an integrated process
Huang, Jian; Kobayashi, Masahito; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008760495
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de/10014490330
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Matrix gamma distributions and related stochastic processes
Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022
There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, ∞). We provide an extension of this class to the case where the shape...
Persistent link: https://www.econbiz.de/10013469607
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What happens when the technology growth trend changes? : Transition dynamics, capital growth and the new economy
Pakko, Michael Robert (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001965032
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Stochastic capital depreciation and the comovement of hours and productivity
Dueker, Michael (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001971164
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Stochastic expected utility and prospect theory in a horse race : a finite mixture approach
Bruhin, Adrian - 2008
This study compares the performance of Prospect Theory versus Stochastic Expected Utility Theory at fitting data on … Allais paradox or the fourfold pattern of risk attitudes. Stochastic Expected Utility Theory parsimoniously extends the … standard microeconomic model, whereas Prospect Theory, the benchmark for aggregate choice so far, is based on psychological …
Persistent link: https://www.econbiz.de/10003894019
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009562985